IBEX 35 Backtested Returns
holds Efficiency (Sharpe) Ratio of -0.0925 which attests that IBEX 35
had -0.0925% of return per unit of return volatility over the last 1 month. Macroaxis approach into determining risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. IBEX 35 exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Even though it is essential to pay attention to IBEX 35
current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis approach into determining future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators
. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.39) |
Poor reverse predictability
IBEX 35 has poor reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from February 19, 2018 to March 6, 2018 and March 6, 2018 to March 21, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of IBEX 35 price movement. The serial correlation of -0.39 indicates that just about 39.0% of current IBEX 35 price fluctuation can be explain by its past prices. Given that IBEX 35 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IBEX 35 for similar time interval.
|Correlation Coefficient|| -0.39|
|Spearman Rank Test|| -0.29|
|Price Variance|| 2479.34|
|Lagged Price Variance|| 15130.75|
IBEX 35 Lagged Returns